Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0046 |
| Annualized Std Dev | 0.7195 |
| Annualized Sharpe (Rf=0%) | 0.0064 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3083.0000 |
| NAs | 1.0000 |
| Minimum | -0.3458 |
| Quartile 1 | -0.0221 |
| Median | 0.0030 |
| Arithmetic Mean | 0.0011 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0253 |
| Maximum | 0.2767 |
| SE Mean | 0.0008 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0027 |
| Variance | 0.0021 |
| Stdev | 0.0453 |
| Skewness | -0.3054 |
| Kurtosis | 5.0869 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0329 |
| Gain Deviation | 0.0302 |
| Loss Deviation | 0.0338 |
| Downside Deviation (MAR=210%) | 0.0367 |
| Downside Deviation (Rf=0%) | 0.0324 |
| Downside Deviation (0%) | 0.0324 |
| Maximum Drawdown | 0.9258 |
| Historical VaR (95%) | -0.0693 |
| Historical ES (95%) | -0.1074 |
| Modified VaR (95%) | -0.0727 |
| Modified ES (95%) | -0.1286 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-04-11 | 2020-03-23 | NA | -0.9258 | 2503 | 2252 | NA |
| 2009-01-07 | 2009-03-02 | 2009-05-04 | -0.6490 | 81 | 37 | 44 |
| 2009-11-17 | 2010-05-20 | 2010-11-04 | -0.5139 | 244 | 127 | 117 |
| 2009-06-02 | 2009-06-22 | 2009-07-23 | -0.3263 | 37 | 15 | 22 |
| 2009-10-15 | 2009-10-30 | 2009-11-16 | -0.2691 | 23 | 12 | 11 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5 | 5 |
| 2009 | -3.9 | 0.7 | 10.5 | 4.7 | 13.4 | 4.4 | 1.2 | -5.9 | -8.5 | -12.6 | 8.1 | 0.9 | 10 |
| 2010 | 7.7 | 4.7 | 6.9 | -3.3 | -5.5 | 1.6 | 1.6 | 10 | 4.4 | 3.2 | 8.1 | 2.4 | 49.2 |
| 2011 | 6.4 | -3.5 | 4.4 | 2.8 | -5.3 | 3.7 | -0.4 | -1.5 | -13 | -7.3 | -1 | 0.3 | -14.9 |
| 2012 | 6.7 | 2.9 | 2.3 | 1.9 | -7.8 | 13.6 | 0.2 | 2.4 | 2.7 | 5.1 | -0.1 | 4.6 | 38.6 |
| 2013 | 1.9 | 0.9 | -3.5 | -3.4 | -5.3 | 1.2 | 5.3 | 2.4 | 5.8 | 0.2 | 3 | 2.5 | 11 |
| 2014 | 0.4 | -1.9 | 3.2 | 0.5 | -4 | 2.7 | 1.7 | -0.6 | -6.1 | 1.2 | -5.1 | 0 | -8.3 |
| 2015 | -8.2 | -0.4 | 3.7 | 1.8 | -0.7 | 0 | 3 | -11.7 | 1.4 | 0.5 | 2.7 | -0.8 | -9.5 |
| 2016 | -2.6 | 10.4 | -0.8 | -1.2 | -0.4 | 2.6 | -0.7 | 2.1 | 1.6 | -2.6 | -3.2 | -1.9 | 2.5 |
| 2017 | 0.4 | 4.3 | -2.4 | 1.6 | 3 | 1.6 | 1.1 | 2.2 | 3.3 | 1.7 | -1.8 | 1.4 | 17.4 |
| 2018 | -4 | -0.8 | 6.1 | -1.5 | 3.7 | 4.6 | -2.5 | 1.8 | 0.2 | 10.6 | -0.6 | -1.2 | 16.7 |
| 2019 | -2.2 | 0 | 4.8 | -2.2 | 1.2 | 3.8 | -5.8 | 2.2 | -1.8 | 4.3 | -4.6 | 0.4 | -0.4 |
| 2020 | -6.2 | -0.9 | -12.3 | -10.9 | 7.8 | 3.3 | -2 | 5.2 | 2.9 | -3.8 | 5.5 | -0.3 | -13.3 |
| 2021 | 8.4 | 8 | 2.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 20.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-12-17 96.8 SPY 91.0 -0.0097 0.0098 0.0646 -0.242 -0.376 -0.286 -0.159 GLD 85.4 0.0115 0.0712
2 2008-12-18 88.6 SPY 89.3 -0.0187 0.0154 0.0254 -0.281 -0.388 -0.293 -0.177 GLD 83.9 -0.0183 0.0399
3 2008-12-19 90.2 SPY 88.2 -0.0043 -0.0009 0.0909 -0.267 -0.394 -0.293 -0.190 GLD 82.6 -0.0148 0.0225
4 2008-12-22 78.5 SPY 87.1 -0.0128 -0.0079 0.154 -0.266 -0.412 -0.308 -0.201 GLD 83.5 0.01 0.0104
5 2008-12-23 75.2 SPY 86.2 -0.0103 -0.0623 0.0835 -0.276 -0.423 -0.316 -0.214 GLD 82.6 -0.0099 -0.0217
6 2008-12-24 77 SPY 86.7 0.00580 -0.0476 0.0192 -0.283 -0.420 -0.316 -0.210 GLD 83.5 0.01 -0.0231
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
